On Exponential Local Martingales Connected with Diffusion Processes

DOI10.1002/MANA.19841190108zbMATH Open0565.60063OpenAlexW1996755914MaRDI QIDQ3680025FDOQ3680025

H.-J. Engelbert, Wolfgang M. Schmidt

Publication date: 1984

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mana.19841190108

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zbMATH Keywords

exponential local martingaleexistence of weak solutions of stochastic differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

Cites Work

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Cited In (13)

• Locally Feller processes and martingale local problems
• Exponential integrability of Itô's processes
• Brownian motion with singular time-dependent drift
• On Stochastic Differential Equations with Locally Unbounded Drift
• Weak tail conditions for local martingales
• Construction of local solutions to sde's with singular drift
• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• A weak convergence criterion for constructing changes of measure
• ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS
• Title not available (Why is that?)
• On the existence of diffusions with singular drift coefficient
• On exponential local martingales associated with strong Markov continuous local martingales
• On exponential moments of two Brownian functionals

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